| Ticker | days_above_q70 | days_above_q90 | days_above_q95 | days_above_q99 | ticker_appearances | prop_above_q70 | prop_above_q90 | prop_above_q95 | prop_above_q99 |
|---|---|---|---|---|---|---|---|---|---|
| ADA | 1422 | 1165 | 1041 | 668 | 1648 | 0.8628641 | 0.7069175 | 0.6316748 | 0.4053398 |
| BNB | 1484 | 1308 | 1159 | 942 | 1648 | 0.9004854 | 0.7936893 | 0.7032767 | 0.5716019 |
| BTC | 1568 | 1410 | 1328 | 1153 | 1648 | 0.9514563 | 0.8555825 | 0.8058252 | 0.6996359 |
| DOGE | 1590 | 1534 | 1499 | 1427 | 1648 | 0.9648058 | 0.9308252 | 0.9095874 | 0.8658981 |
| ETH | 1459 | 1241 | 1092 | 751 | 1648 | 0.8853155 | 0.7530340 | 0.6626214 | 0.4557039 |
| LTC | 1517 | 1361 | 1262 | 1064 | 1648 | 0.9205097 | 0.8258495 | 0.7657767 | 0.6456311 |
| TRX | 1598 | 1537 | 1463 | 1258 | 1648 | 0.9696602 | 0.9326456 | 0.8877427 | 0.7633495 |
| XRP | 1597 | 1484 | 1386 | 1140 | 1648 | 0.9690534 | 0.9004854 | 0.8410194 | 0.6917476 |
Crypto Rolling Efficiency
Time series Plots
Window : 360
Delta H computed over rolling 360 days
Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 360
- q70: 0.1276
- q90: 0.17481
- q95: 0.197805
- q99: 0.241003
ADA
### LTC
### BNB
### BTC
### DOGE
### XRP
### TRX
### ETH
Window : 720
Delta H computed over rolling 720 days
Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 720
- q70: 0.0987
- q90: 0.1326
- q95: 0.1478
- q99: 0.176903
XRP
### BNB
### BTC
### DOGE
### ADA
### ETH
### TRX
### LTC
Window : 1080
Delta H computed over rolling 1080 days
Confidence interval obtained from 10.000 GBM simulations series of returns of length equal to 1080
- q70: 0.0881
- q90: 0.11901
- q95: 0.1314
- q99: 0.154401
BTC
### TRX
### ADA
### LTC
### ETH
### BNB
### XRP
### DOGE
Summary Tables
Window : 360
Window : 720
| Ticker | days_above_q70 | days_above_q90 | days_above_q95 | days_above_q99 | ticker_appearances | prop_above_q70 | prop_above_q90 | prop_above_q95 | prop_above_q99 |
|---|---|---|---|---|---|---|---|---|---|
| ADA | 1037 | 781 | 678 | 367 | 1288 | 0.8051242 | 0.6063665 | 0.5263975 | 0.2849379 |
| BNB | 1167 | 977 | 882 | 706 | 1288 | 0.9060559 | 0.7585404 | 0.6847826 | 0.5481366 |
| BTC | 1288 | 1287 | 1268 | 1204 | 1288 | 1.0000000 | 0.9992236 | 0.9844720 | 0.9347826 |
| DOGE | 1262 | 1244 | 1236 | 1230 | 1288 | 0.9798137 | 0.9658385 | 0.9596273 | 0.9549689 |
| ETH | 1288 | 1269 | 1247 | 1169 | 1288 | 1.0000000 | 0.9852484 | 0.9681677 | 0.9076087 |
| LTC | 1286 | 1214 | 1187 | 1035 | 1288 | 0.9984472 | 0.9425466 | 0.9215839 | 0.8035714 |
| TRX | 1280 | 1233 | 1207 | 1153 | 1288 | 0.9937888 | 0.9572981 | 0.9371118 | 0.8951863 |
| XRP | 1282 | 1265 | 1253 | 1229 | 1288 | 0.9953416 | 0.9821429 | 0.9728261 | 0.9541925 |
Window : 1080
| Ticker | days_above_q70 | days_above_q90 | days_above_q95 | days_above_q99 | ticker_appearances | prop_above_q70 | prop_above_q90 | prop_above_q95 | prop_above_q99 |
|---|---|---|---|---|---|---|---|---|---|
| ADA | 884 | 746 | 660 | 429 | 928 | 0.9525862 | 0.8038793 | 0.7112069 | 0.4622845 |
| BNB | 674 | 518 | 448 | 355 | 928 | 0.7262931 | 0.5581897 | 0.4827586 | 0.3825431 |
| BTC | 928 | 928 | 923 | 905 | 928 | 1.0000000 | 1.0000000 | 0.9946121 | 0.9752155 |
| DOGE | 928 | 928 | 928 | 928 | 928 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| ETH | 928 | 928 | 928 | 928 | 928 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| LTC | 928 | 928 | 928 | 919 | 928 | 1.0000000 | 1.0000000 | 1.0000000 | 0.9903017 |
| TRX | 928 | 928 | 928 | 928 | 928 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
| XRP | 928 | 928 | 928 | 928 | 928 | 1.0000000 | 1.0000000 | 1.0000000 | 1.0000000 |
Backtesting
Return KPIs for various strategies applied to different cryptocurrencies:
- Short-Inefficiency-Long-Efficiency: go short when the series becomes statistically inefficient (above a certain quantile - e.g. q90) and go long when it is below that level.
Short-Inefficiency: stay short only when the series becomes statistically inefficient and do nothing when it is below that level.
Short-Efficiency: stay short only when the series becomes statistically efficient and do nothing when it becomes inefficient.
Short-Efficiency-Long-Inefficiency: stay long only when the series becomes statistically efficient and do nothing when it becomes inefficient.
Note: Positions are taken one day after the efficiency level crosses the significance quantile.
360-day Window
Significance q70
- q70 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.0519 0.7595 -0.0683 -0.2942527 ETH Short-Inefficiency-Long-Efficiency q70 360 -0.1889 0.8423 -0.2243 -0.7457095 ADA Short-Inefficiency-Long-Efficiency q70 360 -0.2164 0.8245 -0.2625 -0.7970788 LTC Short-Inefficiency-Long-Efficiency q70 360 -0.2724 0.8667 -0.3143 -0.8749739 XRP Short-Inefficiency-Long-Efficiency q70 360 -0.3149 0.5801 -0.5430 -0.9157229 BTC Short-Inefficiency-Long-Efficiency q70 360 -0.3272 0.7944 -0.4119 -0.9251386 TRX Short-Inefficiency-Long-Efficiency q70 360 -0.4393 0.8141 -0.5396 -0.9772735 BNB Short-Inefficiency-Long-Efficiency q70 360 NaN 1.1848 NaN -1.0014227 DOGE Short-Inefficiency-Long-Efficiency q70 360 - q70 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.2871 0.7093 -0.4047 -0.8906002 ETH Short-Inefficiency q70 360 -0.3021 0.8555 -0.3531 -0.9048519 XRP Short-Inefficiency q70 360 -0.3053 0.7969 -0.3832 -0.9076806 LTC Short-Inefficiency q70 360 -0.3198 0.7857 -0.4071 -0.9195715 ADA Short-Inefficiency q70 360 -0.3452 0.5647 -0.6113 -0.9372590 BTC Short-Inefficiency q70 360 -0.3631 0.7848 -0.4627 -0.9476911 TRX Short-Inefficiency q70 360 -0.5100 0.7658 -0.6660 -0.9905809 BNB Short-Inefficiency q70 360 NaN 1.1765 NaN -1.0013849 DOGE Short-Inefficiency q70 360 - q70 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0382 0.5801 0.0659 0.2780874 BTC Short-Efficiency-Long-Inefficiency q70 360 -0.1036 0.8141 -0.1272 -0.5107603 BNB Short-Efficiency-Long-Inefficiency q70 360 -0.1202 1.1848 -0.1014 -0.5670402 DOGE Short-Efficiency-Long-Inefficiency q70 360 -0.2213 0.7944 -0.2786 -0.8052465 TRX Short-Efficiency-Long-Inefficiency q70 360 -0.3611 0.8245 -0.4380 -0.9466073 LTC Short-Efficiency-Long-Inefficiency q70 360 -0.3678 0.8667 -0.4244 -0.9501497 XRP Short-Efficiency-Long-Inefficiency q70 360 -0.4008 0.8423 -0.4759 -0.9649020 ADA Short-Efficiency-Long-Inefficiency q70 360 -0.4156 0.7595 -0.5471 -0.9701791 ETH Short-Efficiency-Long-Inefficiency q70 360 - q70 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.0235 0.1401 -0.1680 -0.1441770 DOGE Short-Efficiency q70 360 -0.0593 0.1386 -0.4275 -0.3293253 XRP Short-Efficiency q70 360 -0.0608 0.1323 -0.4593 -0.3363142 BTC Short-Efficiency q70 360 -0.0676 0.1228 -0.5506 -0.3672461 TRX Short-Efficiency q70 360 -0.1525 0.2114 -0.7214 -0.6610573 LTC Short-Efficiency q70 360 -0.1909 0.2754 -0.6931 -0.7496591 BNB Short-Efficiency q70 360 -0.2358 0.3034 -0.7772 -0.8276860 ADA Short-Efficiency q70 360 -0.3021 0.2712 -1.1136 -0.9048032 ETH Short-Efficiency q70 360 Significance q90
- q70 : Short-Efficiency
- q70 : Short-Efficiency-Long-Inefficiency
- q70 : Short-Inefficiency
- q90 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.2474 0.7590 0.3260 3.2455972 ETH Short-Inefficiency-Long-Efficiency q90 360 0.0564 0.8241 0.0684 0.4314565 LTC Short-Inefficiency-Long-Efficiency q90 360 -0.0738 0.8664 -0.0852 -0.3943503 XRP Short-Inefficiency-Long-Efficiency q90 360 -0.1063 0.7943 -0.1338 -0.5205020 TRX Short-Inefficiency-Long-Efficiency q90 360 -0.1540 0.8423 -0.1829 -0.6651093 ADA Short-Inefficiency-Long-Efficiency q90 360 -0.2322 0.8143 -0.2852 -0.8223607 BNB Short-Inefficiency-Long-Efficiency q90 360 -0.4749 0.5794 -0.8196 -0.9851925 BTC Short-Inefficiency-Long-Efficiency q90 360 NaN 1.1850 NaN -1.0035925 DOGE Short-Inefficiency-Long-Efficiency q90 360 - q90 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.1599 0.6704 -0.2386 -0.6801107 ETH Short-Inefficiency q90 360 -0.1687 0.7585 -0.2225 -0.7013764 LTC Short-Inefficiency q90 360 -0.1925 0.8258 -0.2331 -0.7528979 XRP Short-Inefficiency q90 360 -0.2518 0.6903 -0.3648 -0.8500357 ADA Short-Inefficiency q90 360 -0.2536 0.7634 -0.3322 -0.8522966 TRX Short-Inefficiency q90 360 -0.4075 0.7224 -0.5641 -0.9673909 BNB Short-Inefficiency q90 360 -0.4175 0.5355 -0.7796 -0.9708120 BTC Short-Inefficiency q90 360 NaN 1.1723 NaN -1.0022754 DOGE Short-Inefficiency q90 360 - q90 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.3545 0.5794 0.6118 6.2742761 BTC Short-Efficiency-Long-Inefficiency q90 360 -0.2364 1.1850 -0.1995 -0.8285407 DOGE Short-Efficiency-Long-Inefficiency q90 360 -0.3454 0.8143 -0.4242 -0.9374085 BNB Short-Efficiency-Long-Inefficiency q90 360 -0.4138 0.7943 -0.5210 -0.9695942 TRX Short-Efficiency-Long-Inefficiency q90 360 -0.4255 0.8423 -0.5052 -0.9733493 ADA Short-Efficiency-Long-Inefficiency q90 360 -0.5033 0.8664 -0.5809 -0.9897093 XRP Short-Efficiency-Long-Inefficiency q90 360 -0.5261 0.8241 -0.6384 -0.9924311 LTC Short-Efficiency-Long-Inefficiency q90 360 -0.5558 0.7590 -0.7323 -0.9950429 ETH Short-Efficiency-Long-Inefficiency q90 360 - q90 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0558 0.2219 0.2516 0.4266230 BTC Short-Efficiency q90 360 -0.0949 0.1725 -0.5502 -0.4791028 DOGE Short-Efficiency q90 360 -0.1870 0.2628 -0.7117 -0.7417528 XRP Short-Efficiency q90 360 -0.2044 0.2193 -0.9321 -0.7759111 TRX Short-Efficiency q90 360 -0.2917 0.3227 -0.9041 -0.8952159 LTC Short-Efficiency q90 360 -0.3052 0.4824 -0.6327 -0.9075850 ADA Short-Efficiency q90 360 -0.3308 0.3749 -0.8825 -0.9276892 BNB Short-Efficiency q90 360 -0.4077 0.3561 -1.1449 -0.9674434 ETH Short-Efficiency q90 360 Significance q95
- q90 : Short-Efficiency
- q90 : Short-Efficiency-Long-Inefficiency
- q90 : Short-Inefficiency
- q95 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.3784 0.7587 0.4987 7.1545309 ETH Short-Inefficiency-Long-Efficiency q95 360 0.3232 0.8236 0.3924 5.2429147 LTC Short-Inefficiency-Long-Efficiency q95 360 0.2369 0.8659 0.2735 3.0154407 XRP Short-Inefficiency-Long-Efficiency q95 360 -0.0191 0.8421 -0.0227 -0.1186364 ADA Short-Inefficiency-Long-Efficiency q95 360 -0.0433 0.7942 -0.0546 -0.2515080 TRX Short-Inefficiency-Long-Efficiency q95 360 -0.3567 0.8143 -0.4381 -0.9441385 BNB Short-Inefficiency-Long-Efficiency q95 360 -0.4580 0.5795 -0.7903 -0.9817851 BTC Short-Inefficiency-Long-Efficiency q95 360 NaN 1.1847 NaN -1.0009488 DOGE Short-Inefficiency-Long-Efficiency q95 360 - q95 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.0209 0.7681 -0.0272 -0.1287627 XRP Short-Inefficiency q95 360 -0.0553 0.7380 -0.0750 -0.3107672 LTC Short-Inefficiency q95 360 -0.1035 0.6475 -0.1598 -0.5105312 ETH Short-Inefficiency q95 360 -0.1756 0.6565 -0.2675 -0.7171631 ADA Short-Inefficiency q95 360 -0.2200 0.7504 -0.2932 -0.8031087 TRX Short-Inefficiency q95 360 -0.4033 0.5201 -0.7755 -0.9658514 BTC Short-Inefficiency q95 360 -0.4400 0.6779 -0.6491 -0.9774418 BNB Short-Inefficiency q95 360 NaN 1.1663 NaN -1.0012231 DOGE Short-Inefficiency q95 360 - q95 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.3123 0.5795 0.5388 4.9135000 BTC Short-Efficiency-Long-Inefficiency q95 360 -0.0639 1.1847 -0.0540 -0.3508112 DOGE Short-Efficiency-Long-Inefficiency q95 360 -0.2187 0.8143 -0.2686 -0.8009593 BNB Short-Efficiency-Long-Inefficiency q95 360 -0.4524 0.7942 -0.5696 -0.9805215 TRX Short-Efficiency-Long-Inefficiency q95 360 -0.5045 0.8421 -0.5992 -0.9898736 ADA Short-Efficiency-Long-Inefficiency q95 360 -0.5980 0.7587 -0.7882 -0.9974191 ETH Short-Efficiency-Long-Inefficiency q95 360 -0.6217 0.8236 -0.7548 -0.9982645 LTC Short-Efficiency-Long-Inefficiency q95 360 -0.6281 0.8659 -0.7254 -0.9984478 XRP Short-Efficiency-Long-Inefficiency q95 360 - q95 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0308 0.2560 0.1203 0.2193871 BTC Short-Efficiency q95 360 -0.0048 0.2085 -0.0230 -0.0309576 DOGE Short-Efficiency q95 360 -0.2387 0.2604 -0.9166 -0.8318936 TRX Short-Efficiency q95 360 -0.2920 0.4504 -0.6483 -0.8954709 BNB Short-Efficiency q95 360 -0.3295 0.4005 -0.8228 -0.9267554 XRP Short-Efficiency q95 360 -0.3695 0.5274 -0.7006 -0.9510002 ADA Short-Efficiency q95 360 -0.3768 0.3664 -1.0283 -0.9546002 LTC Short-Efficiency q95 360 -0.4450 0.3960 -1.1238 -0.9787228 ETH Short-Efficiency q95 360 Significance q99
- q95 : Short-Efficiency
- q95 : Short-Efficiency-Long-Inefficiency
- q95 : Short-Inefficiency
- q99 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.9122 0.8222 1.1095 68.3548473 LTC Short-Inefficiency-Long-Efficiency q99 360 0.4723 0.8654 0.5458 11.5491716 XRP Short-Inefficiency-Long-Efficiency q99 360 0.4645 0.7585 0.6123 11.1196514 ETH Short-Inefficiency-Long-Efficiency q99 360 0.1694 0.8417 0.2013 1.7831012 ADA Short-Inefficiency-Long-Efficiency q99 360 0.1068 0.8138 0.1313 0.9422062 BNB Short-Inefficiency-Long-Efficiency q99 360 -0.2514 0.7944 -0.3165 -0.8494539 TRX Short-Inefficiency-Long-Efficiency q99 360 -0.4349 0.5796 -0.7503 -0.9760745 BTC Short-Inefficiency-Long-Efficiency q99 360 NaN 1.1849 NaN -1.0017988 DOGE Short-Inefficiency-Long-Efficiency q99 360 - q99 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.1698 0.6965 0.2438 1.7890406 LTC Short-Inefficiency q99 360 0.1621 0.6533 0.2482 1.6714018 XRP Short-Inefficiency q99 360 -0.0146 0.5016 -0.0291 -0.0916323 ADA Short-Inefficiency q99 360 -0.0243 0.5581 -0.0435 -0.1483973 ETH Short-Inefficiency q99 360 -0.1933 0.5403 -0.3578 -0.7545757 BNB Short-Inefficiency q99 360 -0.2815 0.6947 -0.4053 -0.8849396 TRX Short-Inefficiency q99 360 -0.3805 0.4871 -0.7812 -0.9563367 BTC Short-Inefficiency q99 360 NaN 1.1447 NaN -1.0020048 DOGE Short-Inefficiency q99 360 - q99 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.2587 0.5796 0.4463 3.5020453 BTC Short-Efficiency-Long-Inefficiency q99 360 -0.1512 1.1849 -0.1276 -0.6575697 DOGE Short-Efficiency-Long-Inefficiency q99 360 -0.3002 0.7944 -0.3779 -0.9031558 TRX Short-Efficiency-Long-Inefficiency q99 360 -0.5459 0.8138 -0.6708 -0.9942752 BNB Short-Efficiency-Long-Inefficiency q99 360 -0.5844 0.8417 -0.6943 -0.9967931 ADA Short-Efficiency-Long-Inefficiency q99 360 -0.6216 0.7585 -0.8195 -0.9982635 ETH Short-Efficiency-Long-Inefficiency q99 360 -0.6875 0.8654 -0.7945 -0.9995033 XRP Short-Efficiency-Long-Inefficiency q99 360 -0.7382 0.8222 -0.8979 -0.9998438 LTC Short-Efficiency-Long-Inefficiency q99 360 - q99 : Short-Efficiency
[1] “”Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.0072 0.3145 -0.0230 -0.0463322 BTC Short-Efficiency q99 360 -0.0772 0.3056 -0.2527 -0.4087980 DOGE Short-Efficiency q99 360 -0.1735 0.3852 -0.4504 -0.7123363 TRX Short-Efficiency q99 360 -0.4351 0.5685 -0.7653 -0.9761124 XRP Short-Efficiency q99 360 -0.4725 0.6762 -0.6988 -0.9847430 ADA Short-Efficiency q99 360 -0.4900 0.5142 -0.9531 -0.9877707 ETH Short-Efficiency q99 360 -0.4967 0.4389 -1.1317 -0.9887807 LTC Short-Efficiency q99 360 -0.5085 0.6083 -0.8359 -0.9903922 BNB Short-Efficiency q99 360
- q99 : Short-Efficiency
- q99 : Short-Efficiency-Long-Inefficiency
- q99 : Short-Inefficiency
720 window
Significance q70
- q70 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.3566 0.8685 -0.4105 -0.8949765 ADA Short-Inefficiency-Long-Efficiency q70 720 -0.3633 0.5826 -0.6235 -0.9004644 BTC Short-Inefficiency-Long-Efficiency q70 720 -0.4113 0.8342 -0.4930 -0.9333114 LTC Short-Inefficiency-Long-Efficiency q70 720 -0.4565 0.7972 -0.5726 -0.9556799 TRX Short-Inefficiency-Long-Efficiency q70 720 -0.4665 0.9278 -0.5028 -0.9596871 XRP Short-Inefficiency-Long-Efficiency q70 720 -0.5461 0.8396 -0.6504 -0.9823451 BNB Short-Inefficiency-Long-Efficiency q70 720 -0.5633 0.7756 -0.7263 -0.9855099 ETH Short-Inefficiency-Long-Efficiency q70 720 NaN 1.3057 NaN -1.0010128 DOGE Short-Inefficiency-Long-Efficiency q70 720 - q70 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.3625 0.5826 -0.6222 -0.8998509 BTC Short-Inefficiency q70 720 -0.3967 0.7341 -0.5404 -0.9244352 ADA Short-Inefficiency q70 720 -0.4120 0.8333 -0.4944 -0.9337133 LTC Short-Inefficiency q70 720 -0.4631 0.9274 -0.4994 -0.9583741 XRP Short-Inefficiency q70 720 -0.4678 0.7958 -0.5879 -0.9602028 TRX Short-Inefficiency q70 720 -0.5624 0.7756 -0.7251 -0.9853565 ETH Short-Inefficiency q70 720 -0.5718 0.8252 -0.6930 -0.9869043 BNB Short-Inefficiency q70 720 NaN 1.3037 NaN -1.0011727 DOGE Short-Inefficiency q70 720 - q70 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.2332 0.7756 0.3007 1.9193441 ETH Short-Efficiency-Long-Inefficiency q70 720 0.1127 0.5826 0.1935 0.7261422 BTC Short-Efficiency-Long-Inefficiency q70 720 0.0544 0.8396 0.0648 0.3108053 BNB Short-Efficiency-Long-Inefficiency q70 720 -0.0061 1.3057 -0.0047 -0.0309621 DOGE Short-Efficiency-Long-Inefficiency q70 720 -0.0438 0.7972 -0.0550 -0.2047483 TRX Short-Efficiency-Long-Inefficiency q70 720 -0.1649 0.8342 -0.1976 -0.6018318 LTC Short-Efficiency-Long-Inefficiency q70 720 -0.2323 0.9278 -0.2504 -0.7411250 XRP Short-Efficiency-Long-Inefficiency q70 720 -0.2796 0.8685 -0.3219 -0.8128992 ADA Short-Efficiency-Long-Inefficiency q70 720 - q70 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0237 0.0727 0.3253 0.1269500 DOGE Short-Efficiency q70 720 0.0056 0.0263 0.2123 0.0289139 XRP Short-Efficiency q70 720 0.0020 0.0046 0.4405 0.0104805 ETH Short-Efficiency q70 720 0.0012 0.0027 0.4412 0.0061261 BTC Short-Efficiency q70 720 -0.0026 0.0376 -0.0690 -0.0131981 LTC Short-Efficiency q70 720 -0.0230 0.0468 -0.4912 -0.1120548 TRX Short-Efficiency q70 720 -0.0789 0.1540 -0.5126 -0.3431579 BNB Short-Efficiency q70 720 -0.2522 0.4638 -0.5438 -0.7736220 ADA Short-Efficiency q70 720 Significance q90
- q70 : Short-Efficiency
- q70 : Short-Efficiency-Long-Inefficiency
- q70 : Short-Inefficiency
- q90 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.0604 0.8683 -0.0695 -0.2725965 ADA Short-Inefficiency-Long-Efficiency q90 720 -0.3662 0.5826 -0.6285 -0.9027860 BTC Short-Inefficiency-Long-Efficiency q90 720 -0.3933 0.8342 -0.4715 -0.9222356 LTC Short-Inefficiency-Long-Efficiency q90 720 -0.4655 0.9278 -0.5017 -0.9592966 XRP Short-Inefficiency-Long-Efficiency q90 720 -0.4750 0.7971 -0.5959 -0.9628588 TRX Short-Inefficiency-Long-Efficiency q90 720 -0.5116 0.7758 -0.6595 -0.9743488 ETH Short-Inefficiency-Long-Efficiency q90 720 -0.6002 0.8393 -0.7151 -0.9907732 BNB Short-Inefficiency-Long-Efficiency q90 720 NaN 1.3057 NaN -1.0011208 DOGE Short-Inefficiency-Long-Efficiency q90 720 - q90 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.1939 0.5833 -0.3324 -0.6676250 ADA Short-Inefficiency q90 720 -0.3640 0.5826 -0.6247 -0.9010188 BTC Short-Inefficiency q90 720 -0.3980 0.8231 -0.4835 -0.9252391 LTC Short-Inefficiency q90 720 -0.4623 0.9268 -0.4988 -0.9580580 XRP Short-Inefficiency q90 720 -0.4750 0.7910 -0.6005 -0.9628546 TRX Short-Inefficiency q90 720 -0.5363 0.7730 -0.6937 -0.9803091 ETH Short-Inefficiency q90 720 -0.5839 0.7818 -0.7469 -0.9886824 BNB Short-Inefficiency q90 720 NaN 1.3013 NaN -1.0012541 DOGE Short-Inefficiency q90 720 - q90 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.1971 0.8393 0.2349 1.5081385 BNB Short-Efficiency-Long-Inefficiency q90 720 0.1179 0.5826 0.2023 0.7673640 BTC Short-Efficiency-Long-Inefficiency q90 720 0.1028 0.7758 0.1325 0.6491050 ETH Short-Efficiency-Long-Inefficiency q90 720 -0.0102 0.7971 -0.0128 -0.0510367 TRX Short-Efficiency-Long-Inefficiency q90 720 -0.0257 1.3057 -0.0196 -0.1243900 DOGE Short-Efficiency-Long-Inefficiency q90 720 -0.1896 0.8342 -0.2273 -0.6585419 LTC Short-Efficiency-Long-Inefficiency q90 720 -0.2338 0.9278 -0.2520 -0.7436087 XRP Short-Efficiency-Long-Inefficiency q90 720 -0.5067 0.8683 -0.5835 -0.9729861 ADA Short-Efficiency-Long-Inefficiency q90 720 - q90 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0103 0.1082 0.0952 0.0537691 DOGE Short-Efficiency q90 720 0.0041 0.0421 0.0976 0.0211583 XRP Short-Efficiency q90 720 0.0035 0.0059 0.5947 0.0179980 BTC Short-Efficiency q90 720 -0.0097 0.0987 -0.0984 -0.0486638 TRX Short-Efficiency q90 720 -0.0258 0.1356 -0.1902 -0.1250526 LTC Short-Efficiency q90 720 -0.0523 0.3054 -0.1712 -0.2399597 BNB Short-Efficiency q90 720 -0.0544 0.0644 -0.8438 -0.2485347 ETH Short-Efficiency q90 720 -0.4404 0.6431 -0.6848 -0.9485334 ADA Short-Efficiency q90 720 Significance q95
- q90 : Short-Efficiency
- q90 : Short-Efficiency-Long-Inefficiency
- q90 : Short-Inefficiency
- q95 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.0226 0.8682 -0.0261 -0.1104011 ADA Short-Inefficiency-Long-Efficiency q95 720 -0.3341 0.5827 -0.5733 -0.8748514 BTC Short-Inefficiency-Long-Efficiency q95 720 -0.3866 0.8342 -0.4635 -0.9177782 LTC Short-Inefficiency-Long-Efficiency q95 720 -0.4718 0.7760 -0.6080 -0.9617117 ETH Short-Inefficiency-Long-Efficiency q95 720 -0.4894 0.9277 -0.5276 -0.9678054 XRP Short-Inefficiency-Long-Efficiency q95 720 -0.4925 0.7971 -0.6179 -0.9687776 TRX Short-Inefficiency-Long-Efficiency q95 720 -0.6632 0.8388 -0.7907 -0.9961598 BNB Short-Inefficiency-Long-Efficiency q95 720 NaN 1.3056 NaN -1.0009007 DOGE Short-Inefficiency-Long-Efficiency q95 720 - q95 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.1520 0.5280 -0.2879 -0.5694884 ADA Short-Inefficiency q95 720 -0.3475 0.5811 -0.5980 -0.8871609 BTC Short-Inefficiency q95 720 -0.3935 0.8208 -0.4794 -0.9223671 LTC Short-Inefficiency q95 720 -0.4740 0.9257 -0.5120 -0.9625089 XRP Short-Inefficiency q95 720 -0.4824 0.7876 -0.6125 -0.9654747 TRX Short-Inefficiency q95 720 -0.5161 0.7688 -0.6713 -0.9755232 ETH Short-Inefficiency q95 720 -0.6111 0.7581 -0.8061 -0.9919898 BNB Short-Inefficiency q95 720 NaN 1.3007 NaN -1.0011284 DOGE Short-Inefficiency q95 720 - q95 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.4211 0.8388 0.5020 5.0262580 BNB Short-Efficiency-Long-Inefficiency q95 720 0.0640 0.5827 0.1098 0.3728679 BTC Short-Efficiency-Long-Inefficiency q95 720 0.0240 0.7971 0.0301 0.1288583 TRX Short-Efficiency-Long-Inefficiency q95 720 0.0197 0.7760 0.0254 0.1048156 ETH Short-Efficiency-Long-Inefficiency q95 720 0.0169 1.3056 0.0130 0.0895883 DOGE Short-Efficiency-Long-Inefficiency q95 720 -0.1978 0.9277 -0.2132 -0.6758466 XRP Short-Efficiency-Long-Inefficiency q95 720 -0.1984 0.8342 -0.2378 -0.6770530 LTC Short-Efficiency-Long-Inefficiency q95 720 -0.5257 0.8682 -0.6055 -0.9779114 ADA Short-Efficiency-Long-Inefficiency q95 720 - q95 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0314 0.1147 0.2737 0.1711655 DOGE Short-Efficiency q95 720 0.0264 0.0612 0.4309 0.1423876 XRP Short-Efficiency q95 720 0.0140 0.3595 0.0391 0.0738526 BNB Short-Efficiency q95 720 0.0046 0.1228 0.0371 0.0235308 TRX Short-Efficiency q95 720 -0.0219 0.0434 -0.5043 -0.1070241 BTC Short-Efficiency q95 720 -0.0330 0.1491 -0.2210 -0.1574215 LTC Short-Efficiency q95 720 -0.0938 0.1043 -0.8991 -0.3954665 ETH Short-Efficiency q95 720 -0.4680 0.6892 -0.6791 -0.9602654 ADA Short-Efficiency q95 720 Significance q99
- q95 : Short-Efficiency
- q95 : Short-Efficiency-Long-Inefficiency
- q95 : Short-Inefficiency
- q99 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.6660 0.8667 0.7685 12.5827400 ADA Short-Inefficiency-Long-Efficiency q99 720 -0.2735 0.5828 -0.4693 -0.8047210 BTC Short-Inefficiency-Long-Efficiency q99 720 -0.4014 0.8342 -0.4812 -0.9273929 LTC Short-Inefficiency-Long-Efficiency q99 720 -0.5105 0.9277 -0.5503 -0.9740489 XRP Short-Inefficiency-Long-Efficiency q99 720 -0.5397 0.7969 -0.6772 -0.9810343 TRX Short-Inefficiency-Long-Efficiency q99 720 -0.5978 0.7754 -0.7709 -0.9904846 ETH Short-Inefficiency-Long-Efficiency q99 720 -0.6855 0.8386 -0.8174 -0.9972921 BNB Short-Inefficiency-Long-Efficiency q99 720 NaN 1.3056 NaN -1.0009359 DOGE Short-Inefficiency-Long-Efficiency q99 720 - q99 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.1852 0.3779 0.4902 1.3833653 ADA Short-Inefficiency q99 720 -0.3156 0.5740 -0.5498 -0.8560466 BTC Short-Inefficiency q99 720 -0.3796 0.7775 -0.4882 -0.9128483 LTC Short-Inefficiency q99 720 -0.4819 0.7298 -0.6604 -0.9653109 TRX Short-Inefficiency q99 720 -0.4831 0.9218 -0.5241 -0.9657163 XRP Short-Inefficiency q99 720 -0.5552 0.7066 -0.7857 -0.9840875 ETH Short-Inefficiency q99 720 -0.6002 0.6738 -0.8907 -0.9907698 BNB Short-Inefficiency q99 720 NaN 1.2999 NaN -1.0011563 DOGE Short-Inefficiency q99 720 - q99 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.5216 0.8386 0.6220 7.5461829 BNB Short-Efficiency-Long-Inefficiency q99 720 0.3390 0.7754 0.4371 3.4455708 ETH Short-Efficiency-Long-Inefficiency q99 720 0.1289 0.7969 0.1618 0.8583923 TRX Short-Efficiency-Long-Inefficiency q99 720 0.0093 1.3056 0.0071 0.0485896 DOGE Short-Efficiency-Long-Inefficiency q99 720 -0.0247 0.5828 -0.0424 -0.1201689 BTC Short-Efficiency-Long-Inefficiency q99 720 -0.1633 0.9277 -0.1760 -0.5978600 XRP Short-Efficiency-Long-Inefficiency q99 720 -0.1787 0.8342 -0.2142 -0.6342882 LTC Short-Efficiency-Long-Inefficiency q99 720 -0.7218 0.8667 -0.8328 -0.9985533 ADA Short-Efficiency-Long-Inefficiency q99 720 - q99 : Short-Efficiency
[1] “”Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0445 0.1045 0.4260 0.2492637 XRP Short-Efficiency q99 720 0.0265 0.1233 0.2149 0.1429492 DOGE Short-Efficiency q99 720 0.0036 0.3203 0.0113 0.0186992 TRX Short-Efficiency q99 720 -0.0137 0.4998 -0.0274 -0.0680828 BNB Short-Efficiency q99 720 -0.0141 0.3195 -0.0442 -0.0701014 ETH Short-Efficiency q99 720 -0.0546 0.3022 -0.1807 -0.2494484 LTC Short-Efficiency q99 720 -0.0674 0.1005 -0.6709 -0.3000329 BTC Short-Efficiency q99 720 -0.6194 0.7808 -0.7933 -0.9928227 ADA Short-Efficiency q99 720
- q99 : Short-Efficiency
- q99 : Short-Efficiency-Long-Inefficiency
- q99 : Short-Inefficiency
1080 Window
Significance q70
- q70 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.2468 0.5722 -0.4313 -0.6478384 BTC Short-Inefficiency-Long-Efficiency q70 1080 -0.3447 0.8345 -0.4131 -0.7891526 LTC Short-Inefficiency-Long-Efficiency q70 1080 -0.3969 0.9747 -0.4073 -0.8447092 XRP Short-Inefficiency-Long-Efficiency q70 1080 -0.4264 0.7656 -0.5569 -0.8708201 TRX Short-Inefficiency-Long-Efficiency q70 1080 -0.4508 0.7473 -0.6033 -0.8899787 ETH Short-Inefficiency-Long-Efficiency q70 1080 -0.4747 0.8538 -0.5560 -0.9065925 ADA Short-Inefficiency-Long-Efficiency q70 1080 -0.5754 0.8496 -0.6772 -0.9573393 BNB Short-Inefficiency-Long-Efficiency q70 1080 NaN 1.4565 NaN -1.0033089 DOGE Short-Inefficiency-Long-Efficiency q70 1080 - q70 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.2486 0.5722 -0.4345 -0.6509488 BTC Short-Inefficiency q70 1080 -0.3427 0.8344 -0.4107 -0.7867125 LTC Short-Inefficiency q70 1080 -0.3869 0.9742 -0.3971 -0.8349503 XRP Short-Inefficiency q70 1080 -0.4272 0.7656 -0.5579 -0.8714868 TRX Short-Inefficiency q70 1080 -0.4412 0.8452 -0.5221 -0.8827421 ADA Short-Inefficiency q70 1080 -0.4517 0.7473 -0.6045 -0.8906351 ETH Short-Inefficiency q70 1080 -0.5807 0.8038 -0.7224 -0.9592509 BNB Short-Inefficiency q70 1080 NaN 1.4565 NaN -1.0033182 DOGE Short-Inefficiency q70 1080 - q70 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.1144 0.8496 0.1347 0.4903054 BNB Short-Efficiency-Long-Inefficiency q70 1080 0.0372 0.7473 0.0497 0.1438180 ETH Short-Efficiency-Long-Inefficiency q70 1080 -0.0385 0.7656 -0.0503 -0.1345703 TRX Short-Efficiency-Long-Inefficiency q70 1080 -0.0440 0.5722 -0.0769 -0.1526807 BTC Short-Efficiency-Long-Inefficiency q70 1080 -0.0714 1.4565 -0.0490 -0.2388023 DOGE Short-Efficiency-Long-Inefficiency q70 1080 -0.0874 0.8538 -0.1024 -0.2860455 ADA Short-Efficiency-Long-Inefficiency q70 1080 -0.2470 0.8345 -0.2960 -0.6481384 LTC Short-Efficiency-Long-Inefficiency q70 1080 -0.3808 0.9747 -0.3907 -0.8288465 XRP Short-Efficiency-Long-Inefficiency q70 1080 - q70 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0482 0.1210 0.3985 0.1893577 ADA Short-Efficiency q70 1080 0.0157 0.0308 0.5103 0.0591270 XRP Short-Efficiency q70 1080 0.0031 0.0060 0.5189 0.0114407 LTC Short-Efficiency q70 1080 0.0008 0.0015 0.5206 0.0028034 DOGE Short-Efficiency q70 1080 -0.0014 0.0027 -0.5221 -0.0051884 TRX Short-Efficiency q70 1080 -0.0016 0.0031 -0.5222 -0.0060019 ETH Short-Efficiency q70 1080 -0.0024 0.0046 -0.5228 -0.0089110 BTC Short-Efficiency q70 1080 -0.0844 0.2749 -0.3070 -0.2772784 BNB Short-Efficiency q70 1080 Significance q90
- q70 : Short-Efficiency
- q70 : Short-Efficiency-Long-Inefficiency
- q70 : Short-Inefficiency
- q90 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.2468 0.5722 -0.4313 -0.6478384 BTC Short-Inefficiency-Long-Efficiency q90 1080 -0.3447 0.8345 -0.4131 -0.7891526 LTC Short-Inefficiency-Long-Efficiency q90 1080 -0.3969 0.9747 -0.4073 -0.8447092 XRP Short-Inefficiency-Long-Efficiency q90 1080 -0.4264 0.7656 -0.5569 -0.8708201 TRX Short-Inefficiency-Long-Efficiency q90 1080 -0.4508 0.7473 -0.6033 -0.8899787 ETH Short-Inefficiency-Long-Efficiency q90 1080 -0.6159 0.8531 -0.7219 -0.9704966 ADA Short-Inefficiency-Long-Efficiency q90 1080 -0.6336 0.8493 -0.7461 -0.9752183 BNB Short-Inefficiency-Long-Efficiency q90 1080 NaN 1.4565 NaN -1.0033089 DOGE Short-Inefficiency-Long-Efficiency q90 1080 - q90 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.2486 0.5722 -0.4345 -0.6509488 BTC Short-Inefficiency q90 1080 -0.3427 0.8344 -0.4107 -0.7867125 LTC Short-Inefficiency q90 1080 -0.3869 0.9742 -0.3971 -0.8349503 XRP Short-Inefficiency q90 1080 -0.4272 0.7656 -0.5579 -0.8714868 TRX Short-Inefficiency q90 1080 -0.4517 0.7473 -0.6045 -0.8906351 ETH Short-Inefficiency q90 1080 -0.5036 0.7989 -0.6304 -0.9241638 ADA Short-Inefficiency q90 1080 -0.5977 0.7625 -0.7839 -0.9650185 BNB Short-Inefficiency q90 1080 NaN 1.4565 NaN -1.0033182 DOGE Short-Inefficiency q90 1080 - q90 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.2916 0.8493 0.3433 1.5655017 BNB Short-Efficiency-Long-Inefficiency q90 1080 0.2479 0.8531 0.2906 1.2603695 ADA Short-Efficiency-Long-Inefficiency q90 1080 0.0372 0.7473 0.0497 0.1438180 ETH Short-Efficiency-Long-Inefficiency q90 1080 -0.0385 0.7656 -0.0503 -0.1345703 TRX Short-Efficiency-Long-Inefficiency q90 1080 -0.0440 0.5722 -0.0769 -0.1526807 BTC Short-Efficiency-Long-Inefficiency q90 1080 -0.0714 1.4565 -0.0490 -0.2388023 DOGE Short-Efficiency-Long-Inefficiency q90 1080 -0.2470 0.8345 -0.2960 -0.6481384 LTC Short-Efficiency-Long-Inefficiency q90 1080 -0.3808 0.9747 -0.3907 -0.8288465 XRP Short-Efficiency-Long-Inefficiency q90 1080 - q90 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.1799 0.3004 0.5989 0.8389835 ADA Short-Efficiency q90 1080 0.0157 0.0308 0.5103 0.0591270 XRP Short-Efficiency q90 1080 0.0031 0.0060 0.5189 0.0114407 LTC Short-Efficiency q90 1080 0.0008 0.0015 0.5206 0.0028034 DOGE Short-Efficiency q90 1080 -0.0014 0.0027 -0.5221 -0.0051884 TRX Short-Efficiency q90 1080 -0.0016 0.0031 -0.5222 -0.0060019 ETH Short-Efficiency q90 1080 -0.0024 0.0046 -0.5228 -0.0089110 BTC Short-Efficiency q90 1080 -0.0457 0.3742 -0.1220 -0.1581203 BNB Short-Efficiency q90 1080 Significance q95
- q90 : Short-Efficiency
- q90 : Short-Efficiency-Long-Inefficiency
- q90 : Short-Inefficiency
- q95 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.1714 0.5722 -0.2996 -0.4997214 BTC Short-Inefficiency-Long-Efficiency q95 1080 -0.3447 0.8345 -0.4131 -0.7891526 LTC Short-Inefficiency-Long-Efficiency q95 1080 -0.3969 0.9747 -0.4073 -0.8447092 XRP Short-Inefficiency-Long-Efficiency q95 1080 -0.4264 0.7656 -0.5569 -0.8708201 TRX Short-Inefficiency-Long-Efficiency q95 1080 -0.4508 0.7473 -0.6033 -0.8899787 ETH Short-Inefficiency-Long-Efficiency q95 1080 -0.6961 0.8524 -0.8166 -0.9875494 ADA Short-Inefficiency-Long-Efficiency q95 1080 -0.7266 0.8482 -0.8566 -0.9915678 BNB Short-Inefficiency-Long-Efficiency q95 1080 NaN 1.4565 NaN -1.0033089 DOGE Short-Inefficiency-Long-Efficiency q95 1080 - q95 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.2104 0.5688 -0.3699 -0.5809795 BTC Short-Inefficiency q95 1080 -0.3427 0.8344 -0.4107 -0.7867125 LTC Short-Inefficiency q95 1080 -0.3869 0.9742 -0.3971 -0.8349503 XRP Short-Inefficiency q95 1080 -0.4272 0.7656 -0.5579 -0.8714868 TRX Short-Inefficiency q95 1080 -0.4517 0.7473 -0.6045 -0.8906351 ETH Short-Inefficiency q95 1080 -0.5488 0.7711 -0.7117 -0.9466437 ADA Short-Inefficiency q95 1080 -0.6467 0.7403 -0.8736 -0.9783231 BNB Short-Inefficiency q95 1080 NaN 1.4565 NaN -1.0033182 DOGE Short-Inefficiency q95 1080 - q95 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.7308 0.8482 0.8616 6.5398669 BNB Short-Efficiency-Long-Inefficiency q95 1080 0.5773 0.8524 0.6773 4.3562813 ADA Short-Efficiency-Long-Inefficiency q95 1080 0.0372 0.7473 0.0497 0.1438180 ETH Short-Efficiency-Long-Inefficiency q95 1080 -0.0385 0.7656 -0.0503 -0.1345703 TRX Short-Efficiency-Long-Inefficiency q95 1080 -0.0714 1.4565 -0.0490 -0.2388023 DOGE Short-Efficiency-Long-Inefficiency q95 1080 -0.1309 0.5722 -0.2288 -0.4035458 BTC Short-Efficiency-Long-Inefficiency q95 1080 -0.2470 0.8345 -0.2960 -0.6481384 LTC Short-Efficiency-Long-Inefficiency q95 1080 -0.3808 0.9747 -0.3907 -0.8288465 XRP Short-Efficiency-Long-Inefficiency q95 1080 - q95 : Short-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.2981 0.3649 0.8169 1.6137779 ADA Short-Efficiency q95 1080 0.0868 0.4153 0.2089 0.3586014 BNB Short-Efficiency q95 1080 0.0157 0.0308 0.5103 0.0591270 XRP Short-Efficiency q95 1080 0.0031 0.0060 0.5189 0.0114407 LTC Short-Efficiency q95 1080 0.0008 0.0015 0.5206 0.0028034 DOGE Short-Efficiency q95 1080 -0.0014 0.0027 -0.5221 -0.0051884 TRX Short-Efficiency q95 1080 -0.0016 0.0031 -0.5222 -0.0060019 ETH Short-Efficiency q95 1080 -0.0507 0.0624 -0.8127 -0.1744061 BTC Short-Efficiency q95 1080 Significance q99
- q95 : Short-Efficiency
- q95 : Short-Efficiency-Long-Inefficiency
- q95 : Short-Inefficiency
- q99 : Short-Inefficiency-Long-Efficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.1999 0.5722 -0.3493 -0.5601492 BTC Short-Inefficiency-Long-Efficiency q99 1080 -0.2965 0.8345 -0.3553 -0.7261653 LTC Short-Inefficiency-Long-Efficiency q99 1080 -0.2998 0.8539 -0.3511 -0.7308033 ADA Short-Inefficiency-Long-Efficiency q99 1080 -0.3969 0.9747 -0.4073 -0.8447092 XRP Short-Inefficiency-Long-Efficiency q99 1080 -0.4264 0.7656 -0.5569 -0.8708201 TRX Short-Inefficiency-Long-Efficiency q99 1080 -0.4358 0.8501 -0.5126 -0.8784453 BNB Short-Inefficiency-Long-Efficiency q99 1080 -0.4508 0.7473 -0.6033 -0.8899787 ETH Short-Inefficiency-Long-Efficiency q99 1080 NaN 1.4565 NaN -1.0033089 DOGE Short-Inefficiency-Long-Efficiency q99 1080 - q99 : Short-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window -0.2228 0.5658 -0.3937 -0.6046653 BTC Short-Inefficiency q99 1080 -0.2623 0.6690 -0.3920 -0.6737768 ADA Short-Inefficiency q99 1080 -0.3180 0.8328 -0.3818 -0.7556973 LTC Short-Inefficiency q99 1080 -0.3869 0.9742 -0.3971 -0.8349503 XRP Short-Inefficiency q99 1080 -0.4272 0.7656 -0.5579 -0.8714868 TRX Short-Inefficiency q99 1080 -0.4517 0.7473 -0.6045 -0.8906351 ETH Short-Inefficiency q99 1080 -0.4669 0.6733 -0.6935 -0.9014082 BNB Short-Inefficiency q99 1080 NaN 1.4565 NaN -1.0033182 DOGE Short-Inefficiency q99 1080 - q99 : Short-Efficiency-Long-Inefficiency
Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0372 0.7473 0.0497 0.1438180 ETH Short-Efficiency-Long-Inefficiency q99 1080 -0.0385 0.7656 -0.0503 -0.1345703 TRX Short-Efficiency-Long-Inefficiency q99 1080 -0.0714 1.4565 -0.0490 -0.2388023 DOGE Short-Efficiency-Long-Inefficiency q99 1080 -0.1000 0.5722 -0.1748 -0.3216035 BTC Short-Efficiency-Long-Inefficiency q99 1080 -0.1614 0.8501 -0.1898 -0.4769642 BNB Short-Efficiency-Long-Inefficiency q99 1080 -0.2986 0.8345 -0.3578 -0.7290734 LTC Short-Efficiency-Long-Inefficiency q99 1080 -0.3154 0.8539 -0.3694 -0.7522678 ADA Short-Efficiency-Long-Inefficiency q99 1080 -0.3808 0.9747 -0.3907 -0.8288465 XRP Short-Efficiency-Long-Inefficiency q99 1080 - q99 : Short-Efficiency
[1] “”Annualized Return Annualized Std Dev Annualized Sharpe (Rf=0%) TotalReturn Ticker position Significance_level Window 0.0157 0.0308 0.5103 0.0591270 XRP Short-Efficiency q99 1080 0.0008 0.0015 0.5206 0.0028034 DOGE Short-Efficiency q99 1080 -0.0014 0.0027 -0.5221 -0.0051884 TRX Short-Efficiency q99 1080 -0.0016 0.0031 -0.5222 -0.0060019 ETH Short-Efficiency q99 1080 -0.0332 0.0527 -0.6297 -0.1169657 LTC Short-Efficiency q99 1080 -0.0356 0.0852 -0.4179 -0.1249420 BTC Short-Efficiency q99 1080 -0.2061 0.5306 -0.3884 -0.5724964 ADA Short-Efficiency q99 1080 -0.2797 0.5184 -0.5396 -0.7012910 BNB Short-Efficiency q99 1080
- q99 : Short-Efficiency
- q99 : Short-Efficiency-Long-Inefficiency
- q99 : Short-Inefficiency